论文标题
COVID-19对股票价格的影响的建模和分析：V和L形回收率
Modeling and analysis of the effect of COVID-19 on the stock price: V and L-shape recovery
论文作者
论文摘要
由于投资者快速而同步的抛售，COVID-19-19的出现是一种新的新型风险因素，导致股价崩溃。但是，在短时间内，质量部门开始从底部恢复。由于机构投资者以及公司的财务反危险性（$ ϕ $），在此类危机期间已经开发了股票价格模型。我们假设在崩溃期间，股价下跌独立于$ ϕ $。我们使用从合成和真实基金流量数据获得的$ψ_T$在危机期间研究冲击长度和$ ϕ $对股票价格的影响。我们观察到，以$ ϕ> 0 $回收的股票的可能性，称为优质股票，随着电击长度的增加而降低。具有较高$ ϕ $的优质股票表现出V形回收率，并且表现优于其他股票。在印度市场上，高质量库存的震动长度和恢复期几乎相等。经济压力的股票，即$ ϕ <0 $的股票在大流行期间显示L形回收率。股票数据和模型分析表明，在Covid-19等不确定性中，投资者投资了优质股票来重组其投资组合以降低风险。该研究可能会帮助投资者在危机期间做出正确的投资决定。
The emergence of the COVID-19 pandemic, a new and novel risk factor, leads to the stock price crash due to the investors' rapid and synchronous sell-off. However, within a short period, the quality sectors start recovering from the bottom. A stock price model has been developed during such crises based on the net-fund-flow ($Ψ_t$) due to institutional investors, and financial antifragility ($ϕ$) of a company. We assume that during the crash, the stock price fall is independent of the $ϕ$. We study the effects of shock lengths and $ϕ$ on the stock price during the crises period using the $Ψ_t$ obtained from synthetic and real fund flow data. We observed that the possibility of recovery of stock with $ϕ>0$, termed as quality stock, decreases with an increase in shock-length beyond a specific period. A quality stock with higher $ϕ$ shows V-shape recovery and outperform others. The shock length and recovery period of quality stock are almost equal that is seen in the Indian market. Financially stressed stocks, i.e., the stocks with $ϕ<0$, show L-shape recovery during the pandemic. The stock data and model analysis shows that the investors, in uncertainty like COVID-19, invest in quality stocks to restructure their portfolio to reduce the risk. The study may help the investors to make the right investment decision during a crisis.
